TY  - BOOK
AU  - Juselius, Katarina
TI  - The cointegrated VAR model : : methodology and applications 
T2  - Advanced texts in econometrics
SN  - 0199285675
U1  - 330.015195 J 49755 
PY  - 2006///
CY  - Oxford
PB  - Oxford University Press
KW  - ECONOMETRIA
KW  - MODELOS ECONOMICOS
KW  - COINTEGRACION
KW  - MODELO DE REGRESION
KW  - MODELO AUTORREGRESIVO
KW  - INFLACION
KW  - POLITICA MONETARIA
KW  - ESTUDIOS DE CASOS
KW  - APLICACIONES
KW  - CASOS PRACTICOS
N1  - Preface -- 1. Bridging economics and econometrics: 1. Introduction -- 2. Models and relations in economics and econometrics -- 3. The probability approach in econometrics, and the VAR -- 2. Specifying the VAR model: 4. The unrestricted VAR -- 5. The cointegrated VAR model -- 6. Deterministic components in the I (1) model -- 7. Estimation in the I (1) model -- 8. Determination of cointegration rank -- 3. Testing hypotheses on cointegration: 9. Recursive tests of constancy -- 10. Testing restrictions on  -- 11. Testing restrictions on -- 4. Identification: 12. Identification of the long-run structure -- 13. Identification of the short-run structure -- 14. Identification of common trends -- 15. Identification of a structural MA model -- 5. The I (2) model: 16. Analysing I (2) data with the I (1) model -- 17. The I (2) model: specification and estimation -- 18. Testing hypotheses in the I (2) model -- 6. A methodological approach: 19. Specific-to-general and general-to-specific -- 20. Wage, price, and unemployment dynamics -- 21. Foreign transmission effects: Denmark versus Germany -- 22. Collecting the threads -- Appendix A. The asymptotic tables for cointegration rank -- Appendix B. A roadmap for writing an empirical paper -- Bibliography -- Index
N2  - This book presents the main ingredients of the Copenhagen School of Time-Series Econometrics in a transparent and coherent framework. The distinguishing feature of this school is that econometric theory and applications have been developed in close cooperation. Its guiding principle is that good econometric work should take econometrics, institutions, and economics seriously
ER  -